Ed Buffaloe , Mar 27, 2001; 08:41 a.m.
Don't know about color, but for black and white I shouldn't think you would want a filter at all, as anything yellow, orange, or red could allow you to see through the fog. I've had excellent results photographing fog with no filter.
If you've never tried PMK developer, Gordon Hutchings claims that it allows for a much smoother tonal rendition of fog because the developer stain masks the grain in the negative.
Here's a photograph taken in fog (developed in Rodinal): http://unblinkingeye.com/Photographs/Fine/01_Path/01_path.html